Foreign exchange (FX) spot and derivatives markets are some of the world’s largest and most active financial markets. However, given its organisation as an OTC market with dealers at the core and highly fragmented liquidity, it has always been a challenge to obtain an accurate perspective on activity and the structure of the market.
Every three years, the BIS conducts what is in essence a “census” of the activity and structure in the global FX market via its Triennial Central Bank Survey of Foreign Exchange and Derivatives Markets (widely known as the “Triennial”). It is the most comprehensive effort to collect detailed and globally consistent information on trading activity and market structure of one of the world’s largest and most active OTC markets.
The history of the survey dates back to 1986 – a time prior to the advent of electronification when markets were much more opaque than they are now. The main data in the Triennial survey cover turnover in 39 currencies and 47 individual crosses. Turnover data are broken down by instruments: Spot, FX swaps, forwards, currency options, currency swaps. The survey also provides a breakdown of turnover by counterparties: Dealers, other financials, non-financials (mainly corporates). The survey also allows to shed light on trading volumes from a residence basis and hence allows to track for instance how volumes evolve across different financial centres.
The Triennial Survey also provides other very useful information for changes to the market structure. In particular notable aspects of changes in trading technology are the rise in the share of electronic and algorithmic trading, changes in order types and matching mechanisms on trading venues.
The 12th edition of the Triennial was conducted in April 2019 and covered more than 50 countries. Central banks in these countries surveyed more than 1,200 reporting institutions (residence basis).
The previous survey, in April 2016, showed that trading in foreign exchange spot and OTC derivatives markets averaged $5.1 trillion per day. Data on turnover in foreign exchange and OTC interest rate derivatives markets was collected from financial institutions in April 2019. Data on the outstanding notional amounts and gross market values of foreign exchange, interest rate, equity, commodity, credit and other OTC derivatives was then collected at the end of June.
Preliminary results for turnover will be published by the BIS in early September 2019, and for amounts outstanding in early November 2019. The final results will be published in December 2019. The results of previous Triennial Surveys are available on the BIS website: bis.org/publ/rpfx16.htm.